TY - GEN
T1 - Applications of mean field games in financial engineering and economic theory
AU - Carmona, René
N1 - Publisher Copyright:
© 2021 American Mathematical Society.
PY - 2021
Y1 - 2021
N2 - This is an expanded version of the lecture given at the AMS Short Course on Mean Field Games, on January 13, 2020 in Denver CO. The assignment was to discuss applications of Mean Field Games in finance and economics. I need to admit upfront that several of the examples reviewed in this chapter were already discussed in book form. Still, they are here accompanied with discussions of, and references to, works which appeared over the last three years. Moreover, several completely new sections are added to show how recent developments in financial engineering and economics can benefit from being viewed through the lens of the Mean Field Game paradigm. The new financial engineering applications deal with bitcoin mining and the energy markets, while the new economic applications concern models offering a smooth transition between macro-economics and finance, and contract theory.
AB - This is an expanded version of the lecture given at the AMS Short Course on Mean Field Games, on January 13, 2020 in Denver CO. The assignment was to discuss applications of Mean Field Games in finance and economics. I need to admit upfront that several of the examples reviewed in this chapter were already discussed in book form. Still, they are here accompanied with discussions of, and references to, works which appeared over the last three years. Moreover, several completely new sections are added to show how recent developments in financial engineering and economics can benefit from being viewed through the lens of the Mean Field Game paradigm. The new financial engineering applications deal with bitcoin mining and the energy markets, while the new economic applications concern models offering a smooth transition between macro-economics and finance, and contract theory.
UR - http://www.scopus.com/inward/record.url?scp=85175988242&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85175988242&partnerID=8YFLogxK
U2 - 10.1090/psapm/078/05
DO - 10.1090/psapm/078/05
M3 - Conference contribution
AN - SCOPUS:85175988242
SN - 9781470455866
T3 - Proceedings of Symposia in Applied Mathematics
SP - 165
EP - 218
BT - Mean Field Games
A2 - Delarue, François
PB - American Mathematical Society
T2 - Mean Field Games on Agent Based Models to Nash Equilibria, AMS 2020
Y2 - 13 January 2020 through 14 January 2020
ER -